Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

Andrew C. Harvey and Neil Shephard ()

Journal of Business & Economic Statistics, 1996, vol. 14, issue 4, pages 429-34

Abstract: A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.

Date: 1996
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Persistent link: http://EconPapers.repec.org/RePEc:bes:jnlbes:v:14:y:1996:i:4:p:429-34

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